Julien Hambuckers is associate professor of finance at the University of Liège (Belgium), and a faculty member of HEC Liège (the business school of the university). From 2016 to 2018 he was affiliated to the Chair of Statistics and Econometrics at the University of Goettingen (Germany). His research interests are in the field of financial econometrics and applied statistics. His work tries to improve the modelling and the regulation of financial risks with the help of extreme value theory, with a focus on operational and systemic risks in financial institutions.
In this paper, the authors propose a family of copula-based multivariate distributions with g-and-h marginals.